Forecasting the NN5 time series with hybrid models
We propose a simple way of predicting time series with recurring seasonal periods. Missing values of the time series are estimated and interpolated in a preprocessing step. We combine several forecasting methods by taking the weighted mean of forecasts that were generated with time-domain models which were validated on left-out parts of the time series. The hybrid model is a combination of a neural network ensemble, an ensemble of nearest trajectory models and a model for the 7-day cycle. We apply this approach to the NN5 time series competition data set.
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- Timmermann, Allan, 2006.
Handbook of Economic Forecasting,
- Timmermann, Allan G, 2005. "Forecast Combinations," CEPR Discussion Papers 5361, C.E.P.R. Discussion Papers.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," Working Papers 2010-04, Banco de México.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, Department of Economics and Business Economics, Aarhus University.
- Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583. Full references (including those not matched with items on IDEAS)
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